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Data-driven Multistage Distributionally Robust Linear Optimization with Nested Distance

Optimization and Control 2024-07-24 v1 Machine Learning Probability Machine Learning

Abstract

We study multistage distributionally robust linear optimization, where the uncertainty set is defined as a ball of distribution centered at a scenario tree using the nested distance. The resulting minimax problem is notoriously difficult to solve due to its inherent non-convexity. In this paper, we demonstrate that, under mild conditions, the robust risk evaluation of a given policy can be expressed in an equivalent recursive form. Furthermore, assuming stagewise independence, we derive equivalent dynamic programming reformulations to find an optimal robust policy that is time-consistent and well-defined on unseen sample paths. Our reformulations reconcile two modeling frameworks: the multistage-static formulation (with nested distance) and the multistage-dynamic formulation (with one-period Wasserstein distance). Moreover, we identify tractable cases when the value functions can be computed efficiently using convex optimization techniques.

Keywords

Cite

@article{arxiv.2407.16346,
  title  = {Data-driven Multistage Distributionally Robust Linear Optimization with Nested Distance},
  author = {Rui Gao and Rohit Arora and Yizhe Huang},
  journal= {arXiv preprint arXiv:2407.16346},
  year   = {2024}
}

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First appeared online at https://optimization-online.org/?p=20641 on Oct 15, 2022